John Hull: Discount Rates and Funding Value Adjustments in the Valuation of Derivatives

Many banks use LIBOR and LIBOR swap rates as the proxies for the risk-free rate when non-collateralized derivatives transactions are valued and overnight indexed swap (OIS) rates as proxies for the risk-free rate when collateralized transactions are valued. They also make a funding value adjustment to derivatives prices to reflect their average borrowing costs. This presentation will critically examine both of these practices.

Speaker(s): John Hull
When
Monday, Feb 25, 2013 at 4:00pm until 5:30pm on Monday, Feb 25, 2013
Where
SMG (315)
Who
Open to General Public
Admission is free
Contact
Math Finance
Drew Quinton
6173586078
 
Boston University

NIS

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